The firms' Greenwich Global Hedge Fund Index fell 1.2% last month, slightly more than the Standard & Poor's 500 Index. But hedge funds haven't had the year that the S&P500 has; the former are up only 1.8% through May, according to the Greenwich benchmark, while the latter is up 7.8%.

Losses were widespread, both among strategies and geographically. Emerging markets funds lost 2% on the month (up 0.4% year-to-date), but funds focused on developed markets did little better, dropping 1.2% (up 1.9% YTD). Greenwich's market neutral group was flat on the month (up 2.9% YTD), but five of its nine strategy and sub-strategy indices were in the red.

Directional trading strategies, on the other hand, had anything but a mixed month: Theirs was downright bad. The average such fund lost 2.8% in May (down 0.8% YTD), with futures funds dropping 3.3% (down 0.7% YTD) and macro funds 1.7% (down 0.5% YTD).

Long/short equity funds lost an average of 1% on the month (up 2.5% YTD). Long/short credit was a rare bright spot in the data, adding 0.8% (5% YTD), trailing only short-biased funds (up 1.1% in May, down 3.2% YTD) for the month.

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